261
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Volatility forecasting in emerging markets with application of stochastic volatility model

Pages 665-681 | Published online: 10 Feb 2011

References

  • Aggarwal , R , Inclan , C and Leal , R . 1999 . Volatility in emerging stock markets . Journal of Financial and Quantitative Analysis , 34 : 33 – 55 .
  • Aguiar , M and Gopinath , G . 2007 . Emerging market business cycles: the cycle is the trend . Journal of Political Economy , 115 : 69 – 101 .
  • Andersen , TG , Chung , HJ and Sørensen , BE . 1999 . Efficient method of moments estimation of a stochastic volatility model: a Monte Carlo study . Journal of Econometrics , 91 : 61 – 87 .
  • Andersen , TG and Sørensen , BE . 1996 . GMM estimation of a stochastic volatility model: a Monte Carlo study . Journal of Business and Economic Statistics , 14 : 328 – 52 .
  • Baillie , RT , Bollerslev , T and Mikkelsen , HO . 1996 . Fractionally integrated generalized autoregressive conditional heteroscedasticity . Journal of Econometrics , 74 : 3 – 30 .
  • Balaban , E , Bayar , A and Faff , RW . 2006 . Forecasting stock market volatility: further international evidence . The European Journal of Finance , 12 : 171 – 88 .
  • Bansal , R , Gallant , AR , Hussey , R and Tauchen , GE . 1993 . “ Computational aspects of nonparametric simulation estimation ” . In Computational Techniques for Econometrics and Economic Analysis , Edited by: Belsley , DA . 3 – 22 . Boston , MA : Academic Publishers .
  • Bessembinder , H and Seguin , PJ . 1992 . Futures trading activity and stock price volatility . Journal of Finance , 47 : 2015 – 34 .
  • Billio , M and Sartore , D . 2003 . “ Stochastic volatility models: a survey with applications to option pricing and value at risk ” . In Applied Quantitative Methods for Trading and Investment , Edited by: Dunis , CL , Laws , J and Naїm , P . 239 – 91 . New York : John Wiley & Sons .
  • Bollerslev , T . 1986 . Generalized autoregressive conditional heteroscedasticity . Journal of Econometrics , 31 : 307 – 28 .
  • Brooks , R . 2007 . Power ARCH modeling of the volatility of emerging equity markets . Emerging Markets Review , 8 : 124 – 33 .
  • Carr , P , Geman , H , Madan , DB and Yor , M . 2003 . Stochastic volatility for Lévy processes . Mathematical Finance , 13 : 345 – 82 .
  • Cuñado , J , Biscarri , JG and Gracia , FP . 2006 . Changes in the dynamic behavior of emerging market volatility: revisiting the effects of financial liberalization . Emerging Markets Review , 7 : 261 – 78 .
  • Duffie , D and Singleton , KJ . 1993 . Simulated moments estimation of Markov models of asset prices . Econometrica , 61 : 929 – 52 .
  • Engle , RF and Manganelli , S . 2004 . CAViaR: conditional autoregressive value at risk by regression quantiles . Journal of Business and Economic Statistics , 22 : 367 – 81 .
  • Gallant , AR and Tauchen , GE . 1996 . Which moments to match? . Econometric Theory , 12 : 657 – 81 .
  • Ghysels , E , Harvey , A and Renault , E . 1996 . “ Stochastic volatility ” . In Handbook of Statistics: Statistical Methods in Finance, Vol. 14 , Edited by: Maddala , GS and Rao , CR . Vol. 14 , 119 – 91 . Amsterdam : Elsevier Science .
  • Glosten , LR , Jagannathan , R and Runkle , DE . 1993 . On the relation between the expected value and the volatility of the normal excess return on stocks . Journal of Finance , 48 : 1779 – 801 .
  • Gokcan , S . 2000 . Forecasting volatility of emerging stock markets: linear versus non-linear GARCH models . Journal of Forecasting , 19 : 499 – 504 .
  • Gulen , H and Mayhew , S . 2000 . Stock index futures trading and volatility in international equity markets . Journal of Futures Markets , 20 : 661 – 85 .
  • Jacquier , E , Polson , NG and Rossi , PE . 1994 . Bayesian analysis of stochastic volatility models . Journal of Business and Economic Statistics , 12 : 371 – 89 .
  • Mittnik , S , Paolella , MS and Rachev , S . 2002 . Stationarity of stable power-GARCH processes . Journal of Econometrics , 106 : 97 – 107 .
  • Neftci , SN . 2000 . Value at risk calculations, extreme events, and tail estimation . The Journal of Derivatives , 7 : 23 – 37 .
  • Nelson , DB . 1990 . Stationarity and persistence in the GARCH(1,1) model . Econometric Theory , 6 : 318 – 34 .
  • Nelson , DB . 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
  • Pearson , ES and Tukey , JW . 1965 . Approximate means and standard deviations based on distances between percentage points of frequency curves . Biometrika , 52 : 533 – 46 .
  • Pezzo , R and Uberti , M . 2006 . Approaches to forecasting volatility: models and their performances for emerging equity markets . Chaos, Solitons and Fractals , 29 : 556 – 65 .
  • Poon , S and Granger , C . 2005 . Practical issues in forecasting volatility . Financial Analysts Journal , 61 : 45 – 55 .
  • Stărică, C., Herzel, S. and Nord, T. (2006) The impact of the IGARCH effect on longer-horizon volatility forecasting, Working Paper, University of Perugia.
  • Taylor , SJ . 1986 . Modelling Financial Time Series , New York : John Wiley & Sons .
  • Taylor , JW . 2005 . Generating volatility forecasts from value at risk estimates . Management Science , 51 : 712 – 25 .
  • Venkataraman , S . 1997 . Value at risk for a mixture of normal distributions: the use of quasi-Bayesian estimation techniques . Economic Perspectives , 21 : 2 – 13 .
  • Wu , L . 2006 . “ Modeling financial security returns using Lévy processes ” . In Handbook of Financial Engineering , Edited by: Birge , J and Linetsky , V . 535 – 74 . Amsterdam : Elsevier Science .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.